Results 51 to 60 of about 87,733 (349)
Energy Science &Engineering, EarlyView.This study presents a hierarchical coordination framework where multiple VPPs interact with the DSO to optimize energy trades and flexibility offers. Each VPP aggregates DERs and DR, performing internal optimization, day‐ahead bidding, and assessing flexibility to reduce excess renewable generation and pollution.
Alireza Zare +4 more
wiley +1 more source
Optimal Variance Forecasting in a Trading Context
Journal of Forecasting, EarlyView.ABSTRACT In financial trading, the economic value of return and variance forecasts arises from three key components: an investor's risk preference, the quality of return predictions, and the accuracy of risk estimates. This study isolates the third component—risk knowledge—and demonstrates that its contribution is a non‐linear function of realized and ...
Nick Taylor
wiley +1 more source
When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro +2 more
wiley +1 more source
Borsa Istanbul Review, 2019 This paper studies the dynamics of the impact of currency fluctuation on Indian stock market by assessing the pricing of exchange rate risk during the period 2005–2016, specifically before and after financial crises.
Smita Mahapatra, Saumitra N. Bhaduri
doaj +1 more source
Martingales and arbitrage: a new look [PDF]
, 2003 This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may ...
Balbás, Alejandro
core +1 more source
The Case of Fleeting Orders and Flickering Quotes
Journal of Futures Markets, EarlyView.ABSTRACT The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with
Markus Ulze +2 more
wiley +1 more source
An Analysis of the Impact of Selected Factors on the Bond Market
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums.
Blanka Francová
doaj +1 more source
Credit risk with semimartingales and risk-neutrality [PDF]
, 2008 A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper.
Colino, Jesús P., Stute, Winfried
core +1 more source
Arbitrage-free prediction of the implied volatility smile [PDF]
, 2014 This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices.
Dellaportas, Petros +1 more
core +2 more sources
Major Conundrums and Possible Solutions in DeFi Insurance
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper empirically explores the early development of insurance projects in the decentralised finance (DeFi) industry, which is based on disruptive technologies like blockchain and smart contracts. A brief history of DeFi is narrated, stressing four risks of DeFi (volatility risk, cyberattack risk, liquidity risk, and regulation risk) and ...
Peng Zhou, Ying Zhang
wiley +1 more source